- Development and prototyping of Back Testing methodologies. Back-testing of Monte Carlo Credit Exposure Models
- Back Testing Counterparty Credit exposure calculations according to Basel 3/CRD4
- Responsibility for the development of capital relevant risk methodologies in the derivatives area for FINMA, PRA and SEC.
- Possibility to support the IT strategic implementation of complex risk and simulation systems.
- Close collaboration with several internal stakeholders in the Investment Bank
- Other bespoke requests regarding exposure analysis for several audit or regulatory reports.
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